Every Mimic you meet has a chance to drop it, but the last Mimic left in the game should drop it regardless - if you haven't found it before then. Dodge it or kill it, and look around its lair for a body holding the shield. Take a detour down the bridge before High Lord Wolnir to enter the Smouldering Lake, and head left to where a Giant Sand Wurm has made its home.
The Shield of Want is a special magical shield that allows you to obtain more souls from enemies, much like the Covetous Silver Serpent Ring - though it's located about halfway through the game.
